FamaMacBeth Regression with Higher-Order Factors
The research suggests a forward selection method for estimating a high-dimensional stochastic discount factor model, outperforming traditional benchmarks and encompassing most factors.
Featured in No. 90 on 26 Mar 2025 · 10 days after release
- Released
- 16 Mar 2025
- First featured
- No. 90 · 26 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 5181447
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